siat 3.10.131__py3-none-any.whl → 3.10.133__py3-none-any.whl

siat/markowitz2.py

@@ -21,6 +21,7 @@ from siat.common import *
 from siat.translate import *
 from siat.security_prices import *
 from siat.security_price2 import *
+from siat.grafix import *
 #from siat.fama_french import *
 
 import pandas as pd
@@ -172,6 +173,7 @@ def cumulative_returns_plot(retgroup,name_list="",titletxt="投资组合策略
         xlabeltxt=footnote1+footnote2
     
     # 持有收益曲线绘制函数
+    """
     lslist=['-','--',':','-.']
     markerlist=['.','h','+','x','4','3','2','1']
     for name in name_list:
@@ -196,6 +198,22 @@ def cumulative_returns_plot(retgroup,name_list="",titletxt="投资组合策略
     
     plt.gca().set_facecolor(facecolor)
     plt.show()
+    """
+    import pandas as pd
+    df=pd.DataFrame()
+    for name in name_list:
+        # 计算持有收益率
+        CumulativeReturns = ((1+retgroup[name]).cumprod()-1)
+        
+        df[name]=CumulativeReturns
+    
+    draw_lines(df,y_label=ylabeltxt,x_label=xlabeltxt, \
+               axhline_value=0,axhline_label='', \
+               title_txt=titletxt, \
+               annotate=True, \
+               annotate_value=False, \
+               facecolor=facecolor, \
+               )    
     
     return
 
@@ -300,8 +318,8 @@ def portfolio_build(portfolio,thedate='default',pastyears=3, \
         获取股价时的信息
         是否显示原始组合、等权重组合和交易金额加权组合的成分股构成
         是否显示原始组合、等权重组合和交易金额加权组合的收益风险排名
-    3. pastyears=3更有可能生成斜向上的椭圆形可行集，需要与不同行业的证券搭配。
-        同行业证券相关性较强，不易生成斜向上的椭圆形可行集。
+    3. pastyears=3更有可能生成斜向上的椭圆形可行集，短于3形状不佳，长于3改善形状有限。
+        需要与不同行业的证券搭配。同行业证券相关性较强，不易生成斜向上的椭圆形可行集。
     4. 若ticker_type='fund'可能导致无法处理股票的复权价！
     5. 若要指定特定的证券为债券，则需要使用列表逐一指定证券的类型（股票，债券，基金）
     6. 默认采用前复权计算收益率，更加平稳
@@ -328,7 +346,7 @@ def portfolio_build(portfolio,thedate='default',pastyears=3, \
             print("  #Warning(portfolio_build): invalid date",thedate)
             return None
     
-    print("  Searching for portfolio info, which may take time ...")
+    print(f"  Searching portfolio info for recent {pastyears} years ...")
     # 解构投资组合
     scope,_,tickerlist,sharelist0,ticker_type=decompose_portfolio(portfolio)
     pname=portfolio_name(portfolio)
@@ -1150,7 +1168,7 @@ if __name__=='__main__':
     
     portfolio_eset(pf_info,simulation=50000)
 
-def portfolio_feset(pf_info,simulation=50000,convex_hull=True,frontier="both",facecolor='papayawhip'):
+def portfolio_feset(pf_info,simulation=10000,convex_hull=True,frontier="both",facecolor='papayawhip'):
     """
     功能：套壳函数portfolio_eset
     当frontier不在列表['efficient','inefficient','both']中时，绘制可行集
@@ -1158,6 +1176,7 @@ def portfolio_feset(pf_info,simulation=50000,convex_hull=True,frontier="both",fa
     当frontier == 'inefficient'时绘制无效边界
     当frontier == 'both'时同时绘制有效边界和无效边界
     当绘制有效/无效边界时，默认使用凸包绘制（convex_hull=True）
+    注：若可行集形状不佳，首先尝试pastyears=3，再尝试增加simulation数量
     """
     if frontier is None:
         convex_hull=False
@@ -1211,7 +1230,7 @@ def portfolio_eset(pf_info,simulation=50000,convex_hull=False,frontier="both",fa
     np.random.seed(RANDOM_SEED)
 
     # 循环模拟n次随机的投资组合
-    print("  Calculating portfolio feasible/efficient set, please wait ...")    
+    print(f"  Simulating {simulation} feasible sets of portfolios ...")    
     for i in range(simulation):
         # 生成numstocks个随机数，并归一化，得到一组随机的权重数据
         random9 = np.random.random(numstocks)
@@ -1267,6 +1286,8 @@ def portfolio_eset(pf_info,simulation=50000,convex_hull=False,frontier="both",fa
         pf_returns_list=list(pf_returns)
         points=[]
         for x in pf_volatilities_list:
+            print_progress_percent2(x,pf_volatilities_list,steps=5,leading_blanks=4)
+            
             pos=pf_volatilities_list.index(x)
             y=pf_returns_list[pos]
             points=points+[[x,y]]
@@ -1348,7 +1369,10 @@ def portfolio_eset(pf_info,simulation=50000,convex_hull=False,frontier="both",fa
                 else:
                     pass
     else:
-        print('')
+        pass
+    
+    # 空一行
+    print('')
       
     
     import datetime as dt; stoday=dt.date.today()
@@ -1393,11 +1417,11 @@ def portfolio_eset(pf_info,simulation=50000,convex_hull=False,frontier="both",fa
             titletxt0=": Markowitz Feasible Set"
             
         plt.colorbar(label='Return/Std')
-        plt.title(pname+": Feasible/Efficient Set",fontsize=title_txt_size)
+        plt.title(pname+titletxt0,fontsize=title_txt_size)
         plt.ylabel("Annualized Return",fontsize=ylabel_txt_size)
         
         footnote1="Annualized Std -->\n\n"
-        footnote2="Based on given securities, constructed "+str(simulation)+" portfolios\n"
+        footnote2="Built "+str(simulation)+" portfolios of given securities\n"
         footnote3="Period of sample: "+hstart+" to "+hend
         footnote4="\nData source: Sina/EM/Stooq/Yahoo, "+str(stoday)
     
@@ -1429,7 +1453,7 @@ def portfolio_es_sharpe(pf_info,simulation=50000,RF=0):
     """
     功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的年均风险溢价及其标准差，绘制投资组合的可行集
     """
-    print("  Calculating possible portfolio combinations, please wait ...")    
+    print(f"  Calculating {simulation} portfolio combinations ...")    
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
@@ -1523,7 +1547,7 @@ def portfolio_es_sortino(pf_info,simulation=50000,RF=0):
     """
     功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的年均风险溢价及其下偏标准差，绘制投资组合的可行集
     """
-    print("  Calculating possible portfolio combinations, please wait ...")    
+    print(f"  Calculating {simulation} portfolio combinations ...")    
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
@@ -1621,9 +1645,10 @@ if __name__=='__main__':
 
 def portfolio_es_alpha(pf_info,simulation=50000,RF=0):
     """
-    功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的年化标准差和阿尔法指数，绘制投资组合的可行集
+    功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的年化标准差和阿尔法指数，
+    绘制投资组合的可行集
     """
-    print("  Calculating possible portfolio combinations, please wait ...")    
+    print(f"  Calculating {simulation} portfolio combinations ...")    
     
     [[portfolio,thedate,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
@@ -1636,7 +1661,18 @@ def portfolio_es_alpha(pf_info,simulation=50000,RF=0):
     #计算市场指数的收益率
     import pandas as pd
     start1=date_adjust(hstart,adjust=-30)
-    mkt=get_prices(mktidx,start1,hend)
+    
+    import os, sys
+    class HiddenPrints:
+        def __enter__(self):
+            self._original_stdout = sys.stdout
+            sys.stdout = open(os.devnull, 'w')
+
+        def __exit__(self, exc_type, exc_val, exc_tb):
+            sys.stdout.close()
+            sys.stdout = self._original_stdout
+    with HiddenPrints():
+        mkt=get_prices(mktidx,start1,hend)
     mkt['Mkt']=mkt['Close'].pct_change()
     mkt.dropna(inplace=True)
     mkt1=pd.DataFrame(mkt['Mkt'])
@@ -1741,7 +1777,7 @@ def portfolio_es_treynor(pf_info,simulation=50000,RF=0):
     """
     功能：基于随机数，生成大量可能的投资组合，计算各个投资组合的风险溢价和贝塔系数，绘制投资组合的可行集
     """
-    print("  Calculating possible portfolio combinations, please wait ...")    
+    print(f"  Calculating {simulation} portfolio combinations ...")    
     
     [[portfolio,_,stock_return0,rf_df,_],_]=pf_info
     pname=portfolio_name(portfolio)
@@ -1754,7 +1790,18 @@ def portfolio_es_treynor(pf_info,simulation=50000,RF=0):
     #计算市场指数的收益率
     import pandas as pd
     start1=date_adjust(hstart,adjust=-30)
-    mkt=get_prices(mktidx,start1,hend)
+    
+    import os, sys
+    class HiddenPrints:
+        def __enter__(self):
+            self._original_stdout = sys.stdout
+            sys.stdout = open(os.devnull, 'w')
+
+        def __exit__(self, exc_type, exc_val, exc_tb):
+            sys.stdout.close()
+            sys.stdout = self._original_stdout
+    with HiddenPrints():    
+        mkt=get_prices(mktidx,start1,hend)
     mkt['Mkt']=mkt['Close'].pct_change()
     mkt.dropna(inplace=True)
     mkt1=pd.DataFrame(mkt['Mkt'])
@@ -1833,6 +1880,8 @@ def portfolio_es_treynor(pf_info,simulation=50000,RF=0):
     # 设置数据框RandomPortfolios每一列的名称
     RandomPortfolios.columns = [ticker + "_weight" for ticker in tickerlist]  \
                          + ['Risk premium', 'beta']
+    # 新增
+    RandomPortfolios['treynor']=RandomPortfolios['Risk premium']/RandomPortfolios['beta']
     
     return [pf_info,RandomPortfolios]
 
@@ -1898,6 +1947,8 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
         pf_returns_list=list(pf_returns)
         points=[]
         for x in pf_volatilities_list:
+            print_progress_percent2(x,pf_volatilities_list,steps=5,leading_blanks=4)
+            
             pos=pf_volatilities_list.index(x)
             y=pf_returns_list[pos]
             points=points+[[x,y]]
@@ -1960,7 +2011,10 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
                     pass
     else:
         #无convex hull
-        print('')
+        pass
+    
+    # 空一行
+    print('')
 
     lang = check_language()
     if lang == 'Chinese':
@@ -1982,7 +2036,7 @@ def RandomPortfolios_plot(RandomPortfolios,col_x,col_y,colorbartxt,title_ext, \
         
         import datetime as dt; stoday=dt.date.today()
         footnote1=x_axis_name+" -->\n\n"
-        footnote2="Based on given securities, constructed "+str(simulation)+" portfolios"
+        footnote2="Built "+str(simulation)+" portfolios of given securities"
         footnote3="\nPeriod of sample: "+hstart+" to "+hend
         footnote4="\nData source: Sina/EM/Stooq/Yahoo, "+str(stoday)
     
@@ -2213,8 +2267,9 @@ def portfolio_optimize_alpha(es_info,graph=True,convex_hull=False,frontier='effi
     """
 
     #需要定制：定义名称变量......................................................
-    col_ratio='Sharpe'  #指数名称
-    col_y='alpha' #指数分子
+    col_ratio='Alpha'  #指数名称
+    col_y='alpha'      #指数分子
+    #col_y='Risk premium' #指数分子
     col_x='beta'         #指数分母
     
     name_hiret='MAR' #Maximum Alpha Ratio，指数最高点
@@ -2261,15 +2316,16 @@ def portfolio_optimize_treynor(es_info,graph=True,convex_hull=False,frontier='ef
 
     #需要定制：定义名称变量......................................................
     col_ratio='Treynor'  #指数名称
-    col_y='Risk premium' #指数分子
-    col_x='beta'         #指数分母
+    col_y='treynor'      #指数：直接做纵轴
+    col_x='beta'         #做横轴
     
     name_hiret='MTR' #Maximum Treynor Ratio，指数最高点
     name_lorisk='GMBT' #Global Minimum Beta in Treynor，风险最低点
 
     title_ext=text_lang("特雷诺比率","Treynor Ratio")   #用于标题区别
     colorbartxt=text_lang("特雷诺比率","Treynor Ratio") #用于彩色棒标签
-    ylabeltxt=text_lang("年化风险溢价","Annualized Risk Premium") #用于纵轴名称
+    #ylabeltxt=text_lang("年化风险溢价","Annualized Risk Premium") #用于纵轴名称
+    ylabeltxt=text_lang("特雷诺比率·","Treynor Ratio")
     x_axis_name=text_lang("贝塔系数","Beta")   #用于横轴名称 
     #定制部分结束...............................................................
     
@@ -2320,9 +2376,9 @@ def portfolio_optimize_rar(es_info,col_ratio,col_y,col_x,name_hiret,name_lorisk,
     hend0=StockReturns.index[-1]; hend=str(hend0.strftime("%Y-%m-%d"))
     
     #识别并计算指数..........................................................
-    if col_ratio in ['Alpha']:
+    if col_ratio.title() in ['Treynor','Alpha']:
         RandomPortfolios[col_ratio] = RandomPortfolios[col_y]
-    elif col_ratio in ['Treynor','Sharpe','Sortino']:
+    elif col_ratio.title() in ['Sharpe','Sortino']:
         RandomPortfolios[col_ratio] = RandomPortfolios[col_y] / RandomPortfolios[col_x]
     else:
         print("  #Error(portfolio_optimize_rar): invalid rar",col_ratio)
@@ -2399,27 +2455,39 @@ if __name__=='__main__':
     simulation=1000
     simulation=50000
     
-    RF=0
-    graph=True;hirar_return=False;lorisk=True
-    convex_hull=False
+    pf_info0=pf_info
+    ratio='treynor'    
+    
+    simulation=10000
+    RF=0.046
+    graph=True
+    hirar_return=True; lorisk=True
+    convex_hull=True; frontier='efficient'; facecolor='papayawhip'
+    
+    
 
-def portfolio_optimize(pf_info,ratio='sharpe',simulation=50000,RF=0, \
+def portfolio_optimize(pf_info0,ratio='sharpe',simulation=10000,RF=0, \
                        graph=True,hirar_return=False,lorisk=True, \
                        convex_hull=True,frontier='efficient',facecolor='papayawhip'):
     """
     功能：集成式投资组合优化策略
     注意：实验发现RF较小时对于结果的影响极其微小难以观察，默认设为不使用无风险利率调整收益
-    但RF较大时对于结果的影响明显变大，已经不能忽略！
+        但RF较大时对于结果的影响明显变大，已经不能忽略！
+        若可行集形状不佳，优先尝试pastyears=3，再尝试增加simulation次数。
+        simulation数值过大时将导致速度太慢。
     """   
-    ratio=ratio.lower()
+    # 防止原始数据被修改
+    import copy
+    pf_info=copy.deepcopy(pf_info0)
     
     ratio_list=['treynor','sharpe','sortino','alpha']
+    ratio=ratio.lower()
     if not (ratio in ratio_list):
         print("  #Error(portfolio_optimize_strategy): invalid strategy ratio",ratio)
         print("  Supported strategy ratios",ratio_list)
         return
     
-    print("  Optimizing portfolio configuration based on",ratio,"ratio ...")
+    print("  Optimizing portfolio configuration by",ratio,"ratio ...")
     
     [[portfolio,_,_,_,_],_]=pf_info
     pname=portfolio_name(portfolio)
@@ -2555,7 +2623,7 @@ def objFunction(W,R,target_ret):
 def portfolio_ef_0(stocks,fromdate,todate):
     """
     功能：绘制马科维茨有效前沿，不区分上半沿和下半沿
-    问题：很可能出现上下边界折叠的情况，难以解释，弃用
+    问题：很可能出现上下边界折叠的情况，难以解释，弃用!!!
     """
     #Code for getting stock prices
     prices=get_prices(stocks,fromdate,todate)
@@ -2630,7 +2698,7 @@ if __name__=='__main__':
 def portfolio_ef(stocks,fromdate,todate):
     """
     功能：多只股票的马科维茨有效边界，区分上半沿和下半沿，标记风险极小点
-    问题：很可能出现上下边界折叠的情况，难以解释，弃用
+    问题：很可能出现上下边界折叠的情况，难以解释，弃用!!!
     """
     print("\n  Searching for portfolio information, please wait...")
     #Code for getting stock prices
@@ -2877,6 +2945,10 @@ def security_correlation(tickers,start='L5Y',end='today',info_type='Close', \
 if __name__ =="__main__":
     portfolio={'Market':('US','^GSPC','Test 1'),'EDU':0.4,'TAL':0.3,'TEDU':0.2}
 
+def portfolio_describe(portfolio):
+    describe_portfolio(portfolio)
+    return
+
 def describe_portfolio(portfolio):
     """
     功能：描述投资组合的信息
@@ -2887,27 +2959,34 @@ def describe_portfolio(portfolio):
     scope,mktidx,tickerlist,sharelist,ticker_type=decompose_portfolio(portfolio)
     pname=portfolio_name(portfolio)
     
-    print("*** 投资组合信息:",pname)
-    print("\n所在市场:",ectranslate(scope))
-    print("市场指数:",ticker_name(mktidx,'bond')+'('+mktidx+')')
-    print("成分股及其份额：")    
+    print(text_lang("*** 投资组合名称:","*** Portfolio name:"),pname)
+    print(text_lang("所在市场:","Market:"),ectranslate(scope))
+    print(text_lang("市场指数:","Market index:"),ticker_name(mktidx,'bond')+'('+mktidx+')')
+    print(text_lang("\n*** 成分股及其份额：","\n*** Members and shares:"))    
 
     num=len(tickerlist)
     #seqlist=[]
     tickerlist1=[]
     sharelist1=[]
+    totalshares=0
     for t in range(num):
         #seqlist=seqlist+[t+1]
         tickerlist1=tickerlist1+[ticker_name(tickerlist[t],'bond')+'('+tickerlist[t]+')']
-        sharelist1=sharelist1+[str(round(sharelist[t],2))+'%']
+        sharelist1=sharelist1+[str(round(sharelist[t]*100,2))+'%']
+        
+        totalshares=totalshares+sharelist[t]
 
     import pandas as pd
     #df=pd.DataFrame({'序号':seqlist,'成分股':tickerlist1,'份额':sharelist1})    
-    df=pd.DataFrame({'成分股':tickerlist1,'份额':sharelist1})    
+    df=pd.DataFrame({text_lang('成分股','Members'):tickerlist1,text_lang('份额','Shares'):sharelist1})    
     df.index=df.index+1
     
     alignlist=['center','left','right']
     print(df.to_markdown(index=True,tablefmt='plain',colalign=alignlist))
+    
+    print("*** "+text_lang("成分股份额总和：","Total shares: ")+str(totalshares*100)+'%')
+    if totalshares != 1:
+        print("  #Warning: total shares is expecting to be 100%")
 
     return
 
@@ -2941,6 +3020,128 @@ def portfolio_drop(portfolio,last=0,droplist=[],new_name=''):
     
     return portfolio_new
 
+#==============================================================================
+def portfolio_define(name='My Portfolio', \
+                     market='CN', \
+                     market_index='000001.SS', \
+                         members={}, \
+                             check=False):
+    """
+    功能：定义一个投资组合
+    参数：
+    name: 投资组合的名字
+    economy_entity: 投资组合的成分股所在的经济体
+    market_index: 经济体的代表性市场指数
+    members: 数据字典，投资组合的各个成分股代码及其所占的股数份额
+    
+    返回值：投资组合的字典型描述
+    """
+    
+    # 检查市场名称
+    market=market.upper()
+    if len(market) != 2:
+        print("  #Warning(portfolio_define): need a country code of 2 letters")
+        return None
+    
+    #屏蔽函数内print信息输出的类
+    import os, sys
+    class HiddenPrints:
+        def __enter__(self):
+            self._original_stdout = sys.stdout
+            sys.stdout = open(os.devnull, 'w')
+
+        def __exit__(self, exc_type, exc_val, exc_tb):
+            sys.stdout.close()
+            sys.stdout = self._original_stdout
+    
+    error_flag=False
+    govt_bond='1Y'+market+'Y.B'
+    with HiddenPrints():
+        rf_df=get_price_stooq(govt_bond,start='MRW')
+    if not(rf_df is None):
+        RF=round(rf_df['Close'].mean() / 100.0,6)
+        print(f"  Notice: recent annualized RF for {market} market is {RF} (or {round(RF*100,4)}%)")
+    else:
+        error_flag=True
+        print(f"  #Warning(portfolio_define): no RF info found for market {market}")
+        print("     Solution: manually define annualized RF value without %")
+    
+    # 检查是否存在成分股
+    if not isinstance(members,dict):
+        print("  #Warning(portfolio_define): invalid structure for portfolio members")
+        return None
+    
+    if len(members) == 0:
+        print("  #Warning(portfolio_define): no members found in the portfolio")
+        return None
+    
+    try:
+        keys=members.keys()
+        values=members.values()
+    except:
+        print("  #Warning(portfolio_define): invalid dict for portfolio members")
+        return None
+    if len(keys) != len(values):
+        print("  #Warning(portfolio_define): number of members and their portions mismatch")
+        return None
+    
+    marketdict={'Market':(market,market_index,name)}
+    portfolio=dict(marketdict,**members)
+    
+    if check:
+        print("  Checking portfolio information ...")
+        df=None
+        with HiddenPrints():
+            df=security_indicator(market_index,fromdate='MRW',graph=False)
+        if df is None:
+            error_flag=True
+            print(f"  #Warning(portfolio_define): market index {market_index} not found")
+            
+        for t in keys:
+            with HiddenPrints():
+                df=security_indicator(t,fromdate='MRW',graph=False)
+            if df is None:
+                error_flag=True
+                print(f"  #Warning(portfolio_define): portfolio member {t} not found")
+    
+    if not check:
+        print(f"  Notice: portfolio information not fully checked")
+    else:
+        if not error_flag:
+            print(f"  Congratulations! Portfolio is ready to go")
+        else:
+            print(f"  #Warning(portfolio_define): there are issues in portfolio definition")
+            
+    return portfolio,RF
+        
+        
+#==============================================================================
+
+def portfolio_feasible(pf_info,simulation=10000,facecolor='papayawhip'):
+    """
+    功能：绘制投资组合的可行集散点图，仅供教学演示，无实际用途
+    """
+    fset=portfolio_feset(pf_info,frontier=None, \
+                         simulation=simulation,facecolor=facecolor)
+    return
+#==============================================================================
+
+def portfolio_efficient(pf_info,frontier='Both',simulation=10000,facecolor='papayawhip'):
+    """
+    功能：绘制投资组合的有效边界散点图，仅供教学演示，无实际用途
+    """
+    frontier=frontier.title()
+    frontier_list=['Efficient','Inefficient','Both']
+    if not (frontier in frontier_list):
+        print(f"  #Warning: invalid frontier {frontier}")
+        print(f"  Valid options for frontier: {frontier_list}")
+        return
+    
+    eset=portfolio_feset(pf_info,frontier=frontier, \
+                         simulation=simulation,facecolor=facecolor)
+    
+    return
+    
 #==============================================================================
 #==============================================================================
 #==============================================================================